Estimating Capital Requirement in Insurance Sector
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F14%3A86090838" target="_blank" >RIV/61989100:27510/14:86090838 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Estimating Capital Requirement in Insurance Sector
Original language description
The capital adequacy presents a very important element in the functioning of financial institutions and therefore also in the insurance sector. Financial market development in the current years led to the increased regulations and to stricter requirements on capital not only in the bank sector. Regulatory directive Solvency II, which has been in the preparation for a long time, should be fully implemented in the year 2016 and should regulate the risk management, capital adequacy and transparency in theinsurance sector, where such directive is missing so far. Main aim of this paper is to estimate selected probability distribution, by using the Monte Carlo simulations, and based on those to determine capital requirements for currency risk according to Solvency II by using Value at Risk and Expected Shortfall. Then the results will be compared and the impact on the insurance companies will be evaluated.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AE - Management, administration and clerical work
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GA13-13142S" target="_blank" >GA13-13142S: Verification of suitability of particular Lévy models for selected issues of financial modeling</a><br>
Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Managing and Modeling of Financial Risks : 7th international scientific conference : proceedings : 8th-9th September 2014, Ostrava, Czech Republic. [Part I-III]
ISBN
978-80-248-3631-7
ISSN
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e-ISSN
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Number of pages
8
Pages from-to
151-158
Publisher name
VŠB-Technical University of Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 8, 2014
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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